Narrow search
Showing 1 - 10 of 223
Cover Image
Disentangling continuous volatility from jumps in long-run risk-return relationships
Jacquier, Eric; Okou, Cédric - In: Journal of financial econometrics : official journal of … 12 (2014) 3, pp. 544-583
Persistent link: https://www.econbiz.de/10010391947
Cover Image
Chapter 11. Prediction Markets for Economic Forecasting
Snowberg, Erik; Wolfers, Justin; Zitzewitz, Eric - In: Handbook of Economic Forecasting : volume 2, part A, (pp. 657-687). 2013
Prediction markets – markets used to forecast future events – have been used to accurately forecast the outcome of political contests, sporting events, and, occasionally, economic outcomes. This chapter summarizes the latest research on prediction markets in order to further their...
Persistent link: https://www.econbiz.de/10014025538
Cover Image
The impact of jumps and leverage in forecasting co-volatility
Asai, Manabu; McAleer, Michael - 2015
jump-robust two time scale covariance estimator of Boudt and Zhang (2013)such that the estimated matrix is positive … definite. Using this approach we can disentangle the estimates of the integrated co-volatility matrix and jump variations from …
Persistent link: https://www.econbiz.de/10010477100
Cover Image
Macroeconomic fundamentals, jump dynamics and expected volatility
Pan, Zhiyuan; Bu, Ruijun; Liu, Li; Wang, Yudong - In: Quantitative finance 20 (2020) 8, pp. 1345-1371
Persistent link: https://www.econbiz.de/10012262666
Cover Image
Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models
Jawadi, Fredj; Ftiti, Zied; Louhichi, Waël - In: Econometric reviews 39 (2020) 1, pp. 54-70
Persistent link: https://www.econbiz.de/10012181540
Cover Image
The impact of jumps and leverage in forecasting covolatility
Asai, Manabu; McAleer, Michael - In: Econometric reviews 36 (2017) 6/9, pp. 638-650
Persistent link: https://www.econbiz.de/10011795307
Cover Image
Forecasting oil futures price volatility : new evidence from realized range-based volatility
Ma, Feng; Zhang, Yaojie; Huang, Dengshi; Lai, Xiaodong - In: Energy economics 75 (2018), pp. 400-409
Persistent link: https://www.econbiz.de/10011974360
Cover Image
Jumps and gold futures volatility prediction
Li, Xiaoqian; Ma, Xiaoqi - In: Finance research letters 58 (2023) 3, pp. 1-5
Persistent link: https://www.econbiz.de/10014631150
Cover Image
Forecasting volatility of EUA futures : new evidence
Guo, Xiaozhu; Huang, Yisu; Liang, Chao; Umar, Muhammad - In: Energy economics 110 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10013349808
Cover Image
Jumps in the Chinese crude oil futures volatility forecasting : new evidence
Guo, Yangli; Li, Pan; Wu, Hanlin - In: Energy economics 126 (2023), pp. 1-9
Persistent link: https://www.econbiz.de/10014483653